There are a number of ways to do it. If you can set up an IMAP connection on Outlook to your IMAP server then you can drag messages or folders over to Outlook. That's the manual way.

There are tools out there, some free and some not, which can automate the process. One of them is mine (shameless plug, see IMAP Tools | Email Questions on this forum) or Google IMAP Migration for pointers to other ones.